[Math] Matrix integration by parts

calculuslinear algebramatrices

It seems to me that the integration by parts rule carries over simply to the matrix case. This can be seen by applying: $(AB)' = A'B + AB'$ and then integrating for square (time dependent) complex matrices.

I wanted to check what the rule should be exactly to integrate:

$\int_{t=0}^{t=T} A(t)B(t) dt$

where $A,B$ are square complex matrices depending on $t$. (please assume any differentiation/smoothness level required).

Best Answer

Clearly $\int_u^v A'(t)B(t)dt=A(v)B(v)-A(u)B(u)-\int_u^vA(t)B'(t)dt$.

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